Band Walk Detector TENKYO [BASIC]

1月25日

1. Abstract: The Computational Resolution of Cognitive Latency

This publication presents the findings of the "TENKYO" Research Project, focusing on the algorithmic detection of high-probability volatility breakouts ("Band Walks") on the 15-minute timeframe.

Problem Statement:Manual trading suffers from a critical "Cognitive Latency Gap." A trader cannot simultaneously process multi-dimensional variables—volatility expansion rates (derivative of variance), candle morphology (price rejection ratios), and time-weighted liquidity cycles—within the millisecond timeframe required for optimal execution.
Solution:This script is not a discretionary indicator but a Hard-Coded Decision Support System. It automates the verification of market conditions using a "Piecewise Constant Parameter Model," offloading the computational burden from the human operator to the CPU.

Note: This is a research release for the verification of the TENKYO logic, not a commercial product.

2. Theoretical Framework & Methodology

The architecture of this script rejects the standard "Stationary Volatility Assumption" (the idea that market behavior is consistent throughout the day). Instead, it adopts a Time-Segmented Heteroskedasticity Model.

A. Temporal Segmentation Logic (The Session Filter)

Global forex markets exhibit distinct liquidity profiles based on the active session (London, New York, Tokyo/Sydney). A standard deviation ($\sigma$) that signals a breakout in the Asian session is often mere noise in the London session.To solve this, the script partitions the trading day into four distinct phases ($S_1, S_2, S_3, S_4$) and applies a Dynamic Parameter Matrix:

・Logic:$P(t) = \{ \text{Length}_i, \text{Mult}_i, \text{Threshold}_i \}$ where $t \in S_i$

・Implementation: The script contains an extensive if-else structure that automatically swaps the Lookback Period and Deviation Multiplier based on the timestamp. This allows the algorithm to "tighten" or "loosen" its sensitivity relative to expected market volume.

B. Synthetic Execution Modeling (Bid/Ask Simulation)
TradingView's default variables (close, high, low) represent mid-market data, which fails to account for the spread cost inherent in execution.
・Correction: This algorithm internally calculates synthetic Bid and Ask prices using a defined spread factor ($\Delta$).
・Formula:
$$P_{Ask} = P_{Mid} + (\Delta / 2), \quad P_{Bid} = P_{Mid} - (\Delta / 2)$$
3. Algorithmic Core: The "TENKYO" Logic

The script identifies a "Band Walk" only when three independent layers of logic align perfectly.

Layer 1: The Volatility Impulse (Expansion)
The primary trigger is not merely price crossing a band, but the acceleration of the Band Width.
・Condition: The algorithm monitors the differential of the Upper and Lower bands. A signal is generated only if the expansion velocity exceeds a predefined Pips threshold (bwGrow_px) specifically tuned for the current session $S_i$.

Layer 2: Morphological Rejection Filtering (Wick Analysis)
To filter out "Mean Reversion Traps" (False Breakouts), the script analyzes the morphology of the signal candle using a Wick-to-Body Ratio test.
・The Trap: A candle that breaks the band but closes with a long rejection wick indicates exhausted momentum.
・The Filter:Let $R_{wb} = \text{Body} / \text{RejectionWick}$. If $R_{wb} < \text{Threshold}_{Si}$,, the signal is suppressed.This mathematical filter prevents the user from entering trades where the market sentiment has already reversed within the candle's duration.Layer

3: The "Scramble" State (Momentum Continuity)
The script introduces a unique state machine called "Scramble."
・Purpose: To detect re-entry opportunities during a high-momentum trend.
・Mechanism: If the market enters an "Endure" state (a pause in expansion) but validates specific continuity conditions (price remains within the $2\sigma$ corridor without violating the trend vector), the algorithm flags a "Scramble" signal. This effectively distinguishes between a "Trend Reversal" and a "Trend Pause."

4. Operational Features & Visual Guide
This tool is designed to serve as a rigorous "Filter" for manual trading.
・The "Mushy" Zone:Visualized by a gray fill between bands. This represents a low-kurtosis, mean-reverting market state where trend-following strategies are statistically disadvantageous. The algorithm disables all signals in this zone.
・Secure & Breakeven Visualization:The script projects potential exit points based on Maximum Favorable Excursion (MFE) logic calculated from the entry bar's synthetic price. This assists the user in objective trade management.
・Hard-Coded Optimization:Users will notice that many parameters are locked or preset. This is intentional. These values are derived from extensive backtesting on EURUSD and JPY pairs and serve as the "Control" variables for this research.

5. Conclusion

The Band Walk Detector TENKYO is a comprehensive logical framework that integrates time, volatility, and morphology. It denies the simplistic "one-size-fits-all" approach of standard indicators in favor of a granular, session-adaptive model. It provides the trader with a computationally verified "Go/No-Go" signal, bridging the gap between human intuition and algorithmic precision.

2月17日

リリースノート

トレーディングビューの現在のモデレーション体制の不適切な運用に対し、抗議の意味を込めて、本スクリプトは削除します。

I am removing this script as a protest against the current inappropriate and poorly managed moderation system of TradingView.